Factor Modelling for Investment Management

Short course

In New York (USA), London and Singapore (Singapore)

£ 2001-3000

Description

  • Duration

    2 Days

Review key techniques and practical challenges when applying factor models to investment management. Economic as well as statistical aspects will be covered in a balanced manner. The course features practical applications of all concepts discussed, using Excel models with real-world and relevant data.

Facilities

Location

Start date

London
See map
34 Curlew Street, se12nd

Start date

On request
New York (USA)
See map

Start date

On request
Singapore (Singapore)
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The Finexis Building

Start date

On request

About this course

- Understand quantitative approaches used in factor modelling today
- Develop basic factor models for equity, fixed income and multi-asset class portfolios
- Use factor models in performance & risk analysis as well as asset allocation

- Quantitative Analysts
- Risk Managers
- Portfolio Managers
- Investment Consultants
- Financial Economist

- Basic understanding of Modern Portfolio Theory (MPT) and statistics
- Good familiarity with Microssoft Excel

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Reviews

This centre's achievements

2016

All courses are up to date

The average rating is higher than 3.7

More than 50 reviews in the last 12 months

This centre has featured on Emagister for 15 years

Subjects

  • Finance
  • Financial
  • Investing
  • Investment manager
  • Investment Management
  • Investment
  • IT risk
  • Risk
  • Finance strategy
  • Investment strategies
  • Banking
  • Investment Banking
  • Budgeting

Teachers and trainers (1)

 Andreas  Steiner

Andreas Steiner

Teacher

Andreas Steiner has over 10 years of practical experience in investment management. He has held performance and risk-related roles in banks and fund management companies and was Head of Investment Risk Management at a private bank in Switzerland. Mr Steiner is an external lecturer at the Zurich University of Applied Sciences and holds a Master's degree magna cum laude in Economics from the University of Zurich with specializations in Monetary Economics and Financial Markets. He has a wide range of publications on asset allocation and portfolio construction.

Course programme

Day One

Introduction and course outline Background

  • Overview factor research and applications: from the CAPM to "Smart Beta"
  • Factor models: fundamental, macroeconomic, statistical and hybrid
  • Commercial versus custom factor models
Statistical Foundations
  • Linear regression models: assumptions, estimation, analytics (R^2, t-stats, F-test, DW)
  • Cross-section versus time-series regressions in finance
  • Overview advanced regression techniques: non-linear variables, dummy variables, non-linear estimation techniques, time-variable regression parameters

Workshop: Style analysis of a hedge fund

  • Big Data & Data Mining: introduction to LASSO
  • Limits to quantitative analysis: system complexity, data issues, stability, out-of-sample performance

Workshop: Identifying hedge fund performance factors

Statistical Factor Models
  • Understanding principal component analysis (PCA)

Workshops: Inferring the factor structure from single stocks, modelling yield curve dynamics and identifying extreme scenariod for stress testing purposes

  • Beyond PCA: Introduction to independent component analysis (ICA)

Day Two

Fundamental Factor Modelling

  • Asset pricing and fundamental factors, factor-mimicking portfolios

Workshops: Building a fundamental factor model for an equity portfolio, modelling the momentum factor

Macroeconomic Factor Modelling
  • Real and monetary macroeconomic factors and transmission mechanisms

Workshop: Building a macroeconomic model for a multi-asset class portfolio

Applications of Factor Models
  • Performance Analysis
    • Return contributions from factors
    • True alphas & hidden factor exposures

Workshop: Factor performance attribution

  • Risk Management
    • Ex ante absolute and relative portfolio risk decomposition

Workshop: Factor attribution of absolute and relative portfolio risk

Conclusions & outlook

Factor Modelling for Investment Management

£ 2001-3000